Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 5 5 5
Score 7.09 5.4 8
Market Cap (Millions USD) 23560.2 23290.48 23329.35
Predicted Beta 2.31 2.31 2.27
Idiosyncratic Volatility 2.02 2.93 3.09

Annualized return and volatility

IVW
Annualized Return 0.0589
Annualized Std Dev 0.1846
Annualized Sharpe (Rf=0%) 0.3193

Row

Daily Return Statistics

IVW
Observations 5009.0000
NAs 104.0000
Minimum -0.0926
Quartile 1 -0.0045
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0057
Maximum 0.1060
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0116
Skewness 0.0011
Kurtosis 7.2587

Downside Risk

IVW
Semi Deviation 0.0084
Gain Deviation 0.0083
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5733
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0279
Modified VaR (95%) -0.0171
Modified ES (95%) -0.0258
From Trough To Depth Length To Trough Recovery
2000-07-18 2009-03-09 2013-02-08 -0.5733 3214 2212 1002
2018-10-02 2018-12-24 2019-04-23 -0.2064 141 59 82
2015-11-04 2016-02-11 2016-07-08 -0.1330 172 69 103
2015-07-21 2015-08-25 2015-10-29 -0.1146 73 27 46
2018-01-29 2018-02-08 2018-06-04 -0.0987 89 9 80

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IVW
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 1.5 0.0 0.1 0.2 0.0 0.0 0.0 0.0 1.8
2001 0.6 0.4 0.0 1.9 0.5 0.0 0.0 0.0 -0.2 2.9 0.0 0.0 6.2
2002 -0.4 2.2 -0.1 0.6 0.0 -2.7 -2.9 0.0 4.2 1.4 0.0 0.0 2.2
2003 0.0 0.0 1.1 -0.3 0.0 1.1 -0.8 0.0 2.2 0.0 1.0 0.0 4.3
2004 0.0 0.8 0.6 0.0 -0.2 -1.2 0.0 0.4 1.7 -0.1 1.4 0.0 3.3
2005 0.7 0.3 -0.6 0.0 0.8 0.2 0.1 -0.4 0.0 -0.3 1.3 0.0 2.0
2006 0.6 0.6 0.0 -0.7 0.9 0.0 -0.5 0.6 0.0 -0.8 -0.3 0.0 0.4
2007 0.4 -0.3 0.0 0.1 0.4 0.0 0.7 0.0 1.0 -2.5 0.0 0.0 -0.1
2008 1.0 0.0 3.2 1.4 0.0 0.6 -0.6 0.0 -1.5 0.0 -7.8 0.0 -4.0
2009 0.0 0.0 1.6 0.7 2.5 0.5 0.0 -1.8 -2.4 0.0 1.3 0.0 2.2
2010 1.6 1.3 0.6 0.0 -1.7 -0.2 0.0 2.8 0.3 0.2 2.2 0.0 7.3
2011 1.4 -1.7 0.3 0.0 -2.1 1.5 -0.5 -1.0 0.0 -2.5 0.1 0.0 -4.4
2012 0.7 0.5 0.0 0.4 -2.4 0.0 -0.2 0.0 0.2 1.0 0.0 0.0 0.2
2013 0.9 0.5 -0.4 -0.7 0.0 0.7 1.1 0.0 0.9 0.2 0.0 0.0 3.2
2014 0.0 0.0 0.9 0.2 0.0 0.8 -0.3 0.0 -1.5 0.0 -0.9 0.0 -0.9
2015 0.0 0.0 -0.5 1.3 0.4 0.8 0.0 -2.9 0.5 0.0 1.0 0.0 0.4
2016 0.2 2.6 1.0 0.0 0.1 0.3 0.3 0.1 0.0 -0.8 -1.0 0.0 2.8
2017 0.2 1.2 0.0 0.4 0.6 0.0 0.2 0.0 0.0 0.0 -0.3 0.0 2.3
2018 -0.3 -1.5 0.0 0.7 1.3 0.0 0.3 0.0 0.3 1.2 0.0 0.0 2.0
2019 0.0 0.8 1.0 -1.0 0.0 0.9 -0.4 0.0 -1.1 0.6 0.0 0.1 0.9

Row

Rolling Performance Chart

Snail Trail Chart